Computational Management Science

2003 - 2025

Current editor(s): Ruediger Schultz

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Volume 18, issue 4, 2021

A diversified AHP-tree approach for multiple-criteria supplier selection pp. 431-453

Toly Chen

Multilevel multi-leader multiple-follower games with nonseparable objectives and shared constraints pp. 455-475

Addis Belete Zewde and Semu Mitiku Kassa

The relative efficiency of option hedging strategies using the third-order stochastic dominance pp. 477-504

Margareta Gardijan Kedžo and Boško Šego

Coordination of power and natural gas markets via financial instruments pp. 505-538

Anna Schwele, Christos Ordoudis, Pierre Pinson and Jalal Kazempour

Implicit incentives for fund managers with partial information pp. 539-561

Flavio Angelini, Katia Colaneri, Stefano Herzel and Marco Nicolosi

Numerical estimates of risk factors contingent on credit ratings pp. 563-589

T. Gärtner, S. Kaniovski and Y. Kaniovski

Volume 18, issue 3, 2021

Recent advances in applied optimization under uncertainty pp. 265-265

Stein-Erik Fleten and Rüdiger Schultz

Stochastic single machine scheduling problem as a multi-stage dynamic random decision process pp. 267-297

Mina Roohnavazfar, Daniele Manerba, Lohic Fotio Tiotsop, Seyed Hamid Reza Pasandideh and Roberto Tadei

Quantile-based optimal portfolio selection pp. 299-324

Taras Bodnar, Mathias Lindholm, Erik Thorsén and Joanna Tyrcha

A node formulation for multistage stochastic programs with endogenous uncertainty pp. 325-354

Giovanni Pantuso

Quantile– based portfolios: post– model– selection estimation with alternative specifications pp. 355-383

Giovanni Bonaccolto

A hybrid dynamic programming - Tabu Search approach for the long-term hydropower scheduling problem pp. 385-410

Yves Mbeutcha, Michel Gendreau and Gregory Emiel

Scenario generation by selection from historical data pp. 411-429

Michal Kaut

Volume 18, issue 2, 2021

Single cut and multicut stochastic dual dynamic programming with cut selection for multistage stochastic linear programs: convergence proof and numerical experiments pp. 125-148

Michelle Bandarra and Vincent Guigues

On the application of Wishart process to the pricing of equity derivatives: the multi-asset case pp. 149-176

Gaetano Bua and Daniele Marazzina

Some new perspectives for solving 0–1 integer programming problems using Balas method pp. 177-193

J. Glover, V. Quan and S. Zolfaghari

Bounds on mean absolute deviation portfolios under interval-valued expected future asset returns pp. 195-212

Songkomkrit Chaiyakan and Phantipa Thipwiwatpotjana

Catastrophic risks and the pricing of catastrophe equity put options pp. 213-237

Massimo Arnone, Michele Leonardo Bianchi, Anna Grazia Quaranta and Gian Luca Tassinari

Enhancing finite difference approximations for double barrier options: mesh optimization and repeated Richardson extrapolation pp. 239-263

Luca Vincenzo Ballestra

Volume 18, issue 1, 2021

Empirically assessing noisy necessary conditions with activation functions pp. 1-23

Wolfgang Messner

Directional approach to gradual cover: the continuous case pp. 25-47

Tammy Drezner, Zvi Drezner and Pawel Kalczynski

A new approximation approach to optimality and duality for a class of nonconvex differentiable vector optimization problems pp. 49-71

Tadeusz Antczak

How do invariant transformations affect the calibration and optimization of the Kalman filtering algorithm used in the estimation of continuous-time affine term structure models? pp. 73-97

Januj Amar Juneja

Can restrictions on redemption timing boost profitability of loyalty programs in competitive environments? pp. 99-124

Amirhossein Bazargan, Salma Karray and Saeed Zolfaghari

Volume 17, issue 4, 2020

AI, Machine Learning and sentiment analysis applied to financial markets and consumer markets pp. 493-494

Enza Messina, Christina Erlwein-Sayer and Gautam Mitra

Hyperparameter optimization for recommender systems through Bayesian optimization pp. 495-515

B. G. Galuzzi, I. Giordani, A. Candelieri, R. Perego and F. Archetti

A recommender system for active stock selection pp. 517-547

Giuliano Rossi, Jakub Kolodziej and Gurvinder Brar

Risk attribution and interconnectedness in the EU via CDS data pp. 549-567

R. Giacometti, G. Torri, G. Farina and M. E. Giuli

A missing value approach to social network data: “Dislike” or “Nothing”? pp. 569-583

Paolo Mariani, Andrea Marletta, Mauro Mussini, Mariangela Zenga and Erika Grammatica

Including news data in forecasting macro economic performance of China pp. 585-611

Asger Lunde and Miha Torkar

Dynamic portfolio allocation in goals-based wealth management pp. 613-640

Sanjiv R. Das, Daniel Ostrov, Anand Radhakrishnan and Deep Srivastav

Volume 17, issue 3, 2020

Distributionally robust optimization with multiple time scales: valuation of a thermal power plant pp. 357-385

Wim Ackooij, Debora Daniela Escobar, Martin Glanzer and Georg Ch. Pflug

Correction to: Distributionally robust optimization with multiple time scales: valuation of a thermal power plant pp. 387-387

Wim Ackooij, Debora Daniela Escobar, Martin Glanzer and Georg Ch. Pflug

An exact and a heuristic approach for the transportation-p-facility location problem pp. 389-407

Soumen Kumar Das, Sankar Kumar Roy and Gerhard Wilhelm Weber

Optimization techniques for tree-structured nonlinear problems pp. 409-436

Jens Hübner, Martin Schmidt and Marc C. Steinbach

Tropical optimization technique in bi-objective project scheduling under temporal constraints pp. 437-464

Nikolai Krivulin

The Black–Litterman model and views from a reverse optimization procedure: an out-of-sample performance evaluation pp. 465-492

Erindi Allaj

Volume 17, issue 2, 2020

Editorial pp. 161-162

Stein-Erik Fleten and Florentina Paraschiv

Computing credit valuation adjustment solving coupled PIDEs in the Bates model pp. 163-178

Ludovic Goudenège, Andrea Molent and Antonino Zanette

Asset allocation under predictability and parameter uncertainty using LASSO pp. 179-201

Andrea Rigamonti and Alex Weissensteiner

Portfolio stress testing applied to commodity futures pp. 203-240

Florentina Paraschiv, Stine Marie Reese and Margrethe Ringkjøb Skjelstad

Evaluation of scenario reduction algorithms with nested distance pp. 241-275

Markéta Horejšová, Sebastiano Vitali, Miloš Kopa and Vittorio Moriggia

Scenario tree construction driven by heuristic solutions of the optimization problem pp. 277-307

Vit Prochazka and Stein Wallace

Modeling flexible generator operating regions via chance-constrained stochastic unit commitment pp. 309-326

Bismark Singh, Bernard Knueven and Jean-Paul Watson

Optimal inventory policy through dual sourcing pp. 327-355

Matthew Davison, Yuri Lawryshyn and Volodymyr Miklyukh

Volume 17, issue 1, 2020

Using the generalized maximum covering location model to control a project’s progress pp. 1-21

Narjes Sabeghi and Hamed Reza Tareghian

Customer satisfaction: a mathematical framework for its analysis and its measurement pp. 23-45

R. Ferrentino and C. Boniello

Modelling an energy market with Bayesian networks for non-normal data pp. 47-64

Vincenzina Vitale, Flaminia Musella, Paola Vicard and Valentina Guizzi

An approximation to max min fairness in multi commodity networks pp. 65-77

Hamoud S. Bin Obaid and Theodore B. Trafalis

Using tropical optimization techniques in bi-criteria decision problems pp. 79-104

Nikolai Krivulin

The Skew Normal multivariate risk measurement framework pp. 105-119

Mauro Bernardi, Roy Cerqueti and Arsen Palestini

Directional approach to gradual cover: a maximin objective pp. 121-139

Tammy Drezner, Zvi Drezner and Pawel Kalczynski

Progressive hedging for stochastic programs with cross-scenario inequality constraints pp. 141-160

Ellen Krohn Aasgård and Hans Ivar Skjelbred